glmext 1.0.1

Generalized Linear Model Extension for Scikit-Learn.

GLM Extensions for Scikit-Learn

This package provides Generalized Linear Model (GLM) implementations that are missing from scikit-learn, with a familiar sklearn-style API.

Currently supported models include:

• Negative Binomial GLM (NB2 parameterization)
• Binomial GLM

The goal is to offer a lightweight, numerically stable alternative for users who want GLMs integrated naturally into scikit-learn pipelines, without depending on statsmodels.

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Motivation

While scikit-learn provides a general GLM framework and logistic regression, it does not include support for:

• Negative Binomial regression (for overdispersed count data)
• Binomial regression

This package fills that gap while following scikit-learn conventions:

• fit() / predict() 
• Compatibility with pipelines and preprocessing
• Cython-compiled fast inference of loss and gradient

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Installation

pip install glmext

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Example

Example notebook

from glmext.glm import NegativeBinomialRegressor

nb = NegativeBinomialRegressor(
    alpha=0.0,
    k=2,
    max_iter=300,
    tol=1e-7,
)
nb.fit(X_train, y_train)

y_pred_nb = nb.predict(X_test)

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Mathematical Reference (Negative Binomial GLM)

We use the NB2 parameterization, where the conditional variance is

V(μ) = μ + k μ²

Here:

• μ is the conditional mean
• k > 0 is the dispersion (overdispersion) parameter

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1. Canonical Parameter

For the Negative Binomial exponential family, the canonical parameter is

θ_c(μ) = log( k μ / (1 + k μ) )

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2. Cumulant Function

The corresponding cumulant function is

b(θ_c) = -1 / k · log(1 - exp(θ_c))

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3. GLM Loss (Negative Log-Likelihood)

The per-observation negative log-likelihood is

ℓ(y, θ_c) = -( y · θ_c - b(θ_c) )

Summing over observations gives the total loss.

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Derivation of the Closed-Form Loss

Substituting θ_c(μ) and b(θ_c) into the likelihood:

Loss(y, μ) = ∑ [ -( y · log(k μ / (1 + k μ)) - 1/k · log(1 + k μ) ) ]

Expanding logarithms:

Loss(y, μ) = ∑ [ (y + 1/k) · log(1 + k μ) - y · log(k μ) ]

Dropping constant terms independent of μ (e.g. y · log(k)):

Loss(y, μ) = ∑ [ (y + 1/k) · log(1 + k μ) - y · log(μ) ]

This is the exact loss optimized by the implementation.

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Link Function and Implementation Details

We parameterize the mean using a log link:

μ = exp(raw_prediction)
log(μ) = raw_prediction

Important:

• This is not the canonical link for the Negative Binomial distribution.
• We intentionally work in log-mean (log μ) space for numerical stability and ease of optimization.

Poisson Limit

As k → 0, the Negative Binomial converges to a Poisson distribution, and the loss reduces to the standard Poisson negative log-likelihood:

Loss(y, μ) = μ - y · log(μ)

Final Loss Used in Code

Expressed in terms of raw_prediction:

Loss = ∑ [ (y + 1/k) · log(1 + k · exp(raw)) - y · raw ]

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Relation to statsmodels

This implementation is numerically equivalent to

statsmodels.genmod.families.NegativeBinomial.loglike_obs()

with the following clarifications.

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1. Parameter Naming

• statsmodels uses alpha for the dispersion parameter
• This package uses k

The choice of k avoids a naming conflict with alpha, which is widely used for regularization strength in scikit-learn.

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2. Canonical Parameter Notation Discrepancy

The statsmodels documentation sometimes writes the cumulant function as:

b(θ) = -1 / k · log(1 - k · exp(θ))

At first glance, this appears inconsistent with the canonical exponential-family form. The discrepancy arises because the symbol θ is reused for a reparameterized quantity, not the strict canonical parameter.

Distinguishing the Parameters

Canonical parameter (exponential family):

θ_c = log( k μ / (1 + k μ) )

Reparameterized parameter used in practice:

θ_r = log(μ)

These are related by:

exp(θ_c) = k · exp(θ_r) / (1 + k · exp(θ_r))
θ_c = log(k) + θ_r - log(1 + k · exp(θ_r))

Substituting θ_r into the canonical cumulant function yields:

b(θ_r) = -1 / k · log(1 - k · exp(θ_r))

Thus, the appearance of k · exp(θ) inside b(θ) reflects a reparameterization, not a different distribution.

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Practical Implication

In practice, both this package and statsmodels:

• Operate directly in μ or log μ space
• Use algebraically equivalent likelihood expressions
• Produce identical numerical results (up to floating-point precision)

The difference is largely one of notation and documentation clarity rather than statistical substance.

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License

MIT License